How strong has been the effect of the Global Financial Crisis (GFC) on systemic risk in sovereign bond markets? Was the increase in credit spreads relative to triple-A benchmarks which followed the GFC the result of higher sovereign default risk or the result of a re-pricing that reflected...

We discuss the factors behind sovereign credit ratings and reproduce their quantitative compo-nent, focusing on the case of Greece. The sovereign credit rating of Greece is still lower than the investment grade threshold. However, some of the fundamentals of the Greek economy are shown to be...

The rational expectations hypothesis for survey and model-based inflation forecasts − from the Survey of Professional Forecasters and the Greenbook respectively − is examined by properly taking into account persistence in the data. The finding of nearunit-root effects in inflation and...

Following the Global Financial Crisis, bank lending to euro-area non-financial corporations (NFCs) has been, to a large extent, substituted by market financing. In Greece the market financing channel for NFCs has been activated since the end of 2012; by the end of 2014 bonds issued by large and...

The paper examines proposals for euro bonds. The aim is to highlight the broader context of various proposals and, in particular, to assess their impact less as a solution to the problems of the current economic and financial conjuncture and, more, to focus on their long-term consequences for...

In this paper we assess the movements of euro area sovereign bond yield spreads vis-àvis the German Bund as processes specified across different levels of volatility and subject to movements in asset prices and economic conditions. The determinants we use are grouped into domestic and euro-area...

The stock-bond correlation has been related to market uncertainty and macroeconomic variables. In this paper, we focus on the common pricing process of Greek stocks and bonds, through the correlation of their returns. We derive dynamic conditional correlations of Greek stock and government bond...

In this paper we examine the dynamics of European sovereign bond yield spreads focusing on issues related to financial integration and market conditions. The finding of near-unit-root effects highlights the need for careful econometric specification. Thus we formulate sovereign bond yield...